I believe in order for the change to actually take effect you need to log out and log back in so Compiz starts using the new system default, that tends to fix a lot of things that don't change right away otherwise... If it still doesn't work then I'm stumped, since that was what worked for me.
When you say log out/in would that (or does that) have a different effect to re-booting? I have tried changing the theme then re-booting to see if the change takes effect without success.
As it goes, I have found a temporary fix but it's no more than a workaround. I simply uninstalled all the pointer themes except for the one that I want to use which is oxy-white. With that as the only pointer theme on the system it had to make it the default. Not ideal I know. I think I might try re-installing the DMZ theme and doing the log out/in thing as you suggested and see what occurs.UPDATE:
Re-installed DMZ theme and selected the white option. Cursor didn't change straight away but did after log out/in. Then tried reversing the procedure. Re-selected oxy-white, logged out then back in but the damn thing was still using the DMZ theme!